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Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

Does intraday time-series momentum exist in Chinese stock index futures market?

Li, Yi; Shen, Dehua; Wang, Pengfei; Zhang, Wei - In: Finance research letters 35 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012438384

Market intraday momentum

Gao, Lei; Han, Yufeng; Li, Sophia Zhengzi; Zhou, Guofu - In: Journal of financial economics 129 (2018) 2, pp. 394-414

Persistent link: https://www.econbiz.de/10011982249

Predictability and herding of bourse volatility : an econophysics analogue

Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326

Persistent link: https://www.econbiz.de/10012055468

Market intraday momentum in Australia

Ho, Tu; Lv, Jin Roc; Schultz, Emma - In: Pacific-Basin finance journal 65 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10013252821

Fourier analysis for stock price forecasting : assumption and evidence

Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380

Persistent link: https://www.econbiz.de/10011517950

Forecasting high-frequency volatility shocks : an analytical real-time monitoring system

Kömm, Holger - 2016 - 1st ed. 2016

Persistent link: https://www.econbiz.de/10011411472

Bond intraday momentum

Zhang, Wei; Wang, Pengfei; Li, Yi - In: Journal of behavioral and experimental finance 31 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012815421

Volatility Models for Stylized Facts of High-Frequency Financial Data

Kim, Donggyu; Shin, Minseok - 2022

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of … the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …

Persistent link: https://www.econbiz.de/10013405987

Research on cojumps of electronic commerce overnight factors in volatility prediction based on joint BW test

Deng, Liling; Xiong, Haifang; Wang, Zhiqiang - In: Electronic commerce research 23 (2023) 1, pp. 115-135

Persistent link: https://www.econbiz.de/10014251590